USMV Options History — January 2019

In January 2019, USMV traded between $51.34 and $55.41. ATM implied volatility averaged 15.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.8% (HV 20d: 18.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2019-01-25: Highest Volume — 272 contracts
  • 2019-01-31: Largest IV drop — 31.6% change
  • 2019-01-02: Highest IV Rank — 64.9%
  • 2019-01-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.54$51.34$55.41$51.77$55.41
Max Pain$53.19$50.00$55.00$52.00$50.00
ATM IV15.0%10.3%19.9%19.9%10.3%
Expected Move4.3%3.5%5.7%5.7%3.8%
HV 20d18.7%11.3%22.8%21.2%11.3%
HV 60d16.8%16.2%17.7%17.2%16.4%
IV Rank44.2%24.9%64.9%64.9%24.9%
IV Percentile70.5%39.3%91.7%91.7%39.3%
Term Structure0.2%-2.8%3.0%-2.8%1.0%
VWIV17.2%12.1%62.7%62.7%13.6%
Skew 25d4.2%0.2%9.6%5.1%4.3%
Skew 10d5.8%-3.8%12.8%12.7%10.8%
Call IV 25d12.6%9.5%20.6%20.6%9.7%
Put IV 25d16.8%10.6%25.7%25.7%14.1%
Bid-Ask Spread %111.71106.25117.22116.87111.35
Gamma HHI0.370.140.510.500.14
Net GEX170.6K15.3K259.6K192.8K15.3K
Net DEX-4.4M-5.4M-3.3M-3.4M-5.4M
Net VEX-13.8K-16.9K-10.5K-16.9K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0010.000.095.26
Total Volume73.714527258238
Total OI1,924.1431,8212,0861,8612,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$51.77$52.0019.9%5.7%21.2%64.9%62.7%5.1%-2.8%192.8K-3.4M-16.9K0.09116.87N/AN/A5351,511350
2019-01-03$51.34$52.0019.9%5.1%20.8%64.7%19.3%1.2%1.4%190.6K-3.3M-16.7K0.06109.78N/AN/A5431,511355
2019-01-04$52.28$52.0018.0%5.0%22.3%57.1%15.3%5.8%-2.7%200.4K-3.5M-16.6K0.05117.22N/AN/A6631,512358
2019-01-07$52.62$52.0017.6%4.5%22.6%55.5%15.4%1.7%0.8%205.2K-3.9M-15.7K0.00116.42N/AN/A1701,521358
2019-01-08$52.95$52.0014.4%4.7%22.6%41.8%16.7%3.9%1.7%222.0K-4.0M-15.7K0.00108.54N/AN/A1701,531358
2019-01-09$52.93$52.0016.4%4.7%22.6%50.5%16.5%0.2%1.4%216.8K-4.3M-15.4K0.00110.99N/AN/A1801,531358
2019-01-10$53.30$52.0015.8%4.5%22.8%47.7%14.7%7.8%0.9%259.6K-4.3M-14.7K0.75107.63N/AN/A20151,532358
2019-01-11$53.31$54.0017.4%5.0%22.8%54.6%16.9%4.8%-1.7%224.7K-4.3M-14.9K0.56109.26N/AN/A27151,534373
2019-01-14$53.00$54.0016.7%4.8%22.8%51.4%0.0%9.6%-1.3%216.7K-4.2M-14.6K0.40106.25N/AN/A1561,543373
2019-01-15$53.49$54.0013.2%3.8%22.4%37.0%16.5%8.1%-0.7%214.0K-4.5M-13.7K1.06112.27N/AN/A16171,535374
2019-01-16$53.50$54.0013.5%3.9%19.8%38.0%15.8%3.3%1.8%217.5K-4.5M-14.1K1.19110.89N/AN/A16191,535374
2019-01-17$53.76$54.0012.3%3.5%19.8%33.0%12.3%6.6%-0.1%210.7K-4.8M-12.7K1.79114.00N/AN/A14251,535376
2019-01-18$54.34$54.0013.2%3.8%19.7%36.7%12.9%4.3%-0.3%153.3K-5.0M-12.4K1.67110.98N/AN/A15251,542381
2019-01-22$53.86$54.0013.3%3.8%19.0%37.3%13.4%0.3%-1.0%156.5K-4.8M-11.8K3.27115.31N/AN/A22721,463358
2019-01-23$54.35$54.0012.8%3.7%18.8%35.2%15.0%2.2%3.0%113.8K-4.6M-12.2K0.99110.05N/AN/A73721,459430
2019-01-24$54.16$54.0013.3%3.8%14.7%37.1%12.7%5.5%1.4%139.6K-4.8M-12.4K1.12115.26N/AN/A74831,510430
2019-01-25$54.39$54.0014.9%4.3%11.9%44.2%14.4%2.7%-0.3%120.2K-5.0M-11.6K2.68108.90N/AN/A741981,511441
2019-01-28$54.19$54.0013.8%4.0%11.9%39.4%12.3%3.6%0.1%108.1K-4.4M-13.0K0.00111.35N/AN/A501,501521
2019-01-29$54.36$54.0012.3%3.5%11.9%33.1%12.1%3.3%2.1%106.4K-4.4M-12.9K10.00109.21N/AN/A6601,503521
2019-01-30$54.95$55.0015.1%4.3%12.0%44.9%15.7%4.3%-0.6%97.5K-5.0M-12.0K2.21113.30N/AN/A28621,504550
2019-01-31$55.41$50.0010.3%3.8%11.3%24.9%13.6%4.3%1.0%15.3K-5.4M-10.5K5.26111.35N/AN/A382001,536550